Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 3 | 4 | 3 |
| Score | -6.21 | -4.69 | -6.71 |
| Market Cap (Millions USD) | 23620.55 | 22657.39 | 23900.74 |
| Predicted Beta | 0.52 | 0.53 | 0.53 |
| Idiosyncratic Volatility | 1.49 | 1.72 | 1.72 |
Annualized return and volatility
| XLF | |
|---|---|
| Annualized Return | 0.0590 |
| Annualized Std Dev | 0.2998 |
| Annualized Sharpe (Rf=0%) | 0.1970 |
Row
Daily Return Statistics
| XLF | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1667 |
| Quartile 1 | -0.0065 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0074 |
| Maximum | 0.3097 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0004 |
| Stdev | 0.0189 |
| Skewness | 1.2182 |
| Kurtosis | 27.5946 |
Downside Risk
| XLF | |
|---|---|
| Semi Deviation | 0.0128 |
| Gain Deviation | 0.0161 |
| Loss Deviation | 0.0144 |
| Downside Deviation (MAR=210%) | 0.0171 |
| Downside Deviation (Rf=0%) | 0.0126 |
| Downside Deviation (0%) | 0.0126 |
| Maximum Drawdown | 0.8269 |
| Historical VaR (95%) | -0.0252 |
| Historical ES (95%) | -0.0433 |
| Modified VaR (95%) | -0.0131 |
| Modified ES (95%) | -0.0131 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-04 | 2009-03-06 | 2016-10-05 | -0.8269 | 2396 | 455 | 1941 |
| 2001-01-04 | 2002-10-09 | 2004-01-15 | -0.3664 | 775 | 448 | 327 |
| 2018-01-29 | 2018-12-24 | 2019-11-04 | -0.2466 | 453 | 233 | 220 |
| 2000-01-18 | 2000-02-25 | 2000-03-23 | -0.1718 | 47 | 28 | 19 |
| 2000-09-12 | 2000-10-12 | 2000-12-26 | -0.1407 | 75 | 24 | 51 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | XLF | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 0.5 | 1.4 | 0.0 | -2.2 | 3.3 | 0.0 | 0.7 | -1.6 | 0.0 | -0.4 | -0.6 | 0.0 | 0.9 |
| 2001 | 0.1 | 0.1 | 0.0 | 0.8 | -0.2 | 0.0 | 0.4 | 0.0 | -0.3 | 1.6 | 0.0 | 0.0 | 2.7 |
| 2002 | -1.2 | 1.4 | -0.2 | 0.7 | 0.0 | -2.1 | -2.5 | 0.0 | 4.3 | 1.4 | 0.0 | 0.0 | 1.6 |
| 2003 | 0.0 | 0.0 | 2.6 | 0.0 | 0.0 | 1.2 | -2.0 | 0.0 | 2.5 | 0.0 | 1.1 | 0.0 | 5.6 |
| 2004 | 0.0 | 0.7 | 1.1 | 0.0 | -0.4 | -0.7 | 0.0 | -0.4 | 1.7 | 0.3 | 2.0 | 0.0 | 4.3 |
| 2005 | 1.1 | 1.0 | -1.4 | 0.0 | 0.8 | 0.1 | 0.0 | 0.2 | 0.0 | -0.4 | 0.5 | 0.0 | 2.0 |
| 2006 | -0.1 | 0.5 | 0.0 | -1.6 | 1.2 | 0.0 | -0.3 | 0.1 | 0.0 | -0.6 | -0.6 | 0.0 | -1.3 |
| 2007 | 0.6 | -0.1 | 0.0 | 0.2 | 0.3 | 0.0 | 1.1 | 0.0 | 1.9 | -5.1 | 0.0 | 0.0 | -1.2 |
| 2008 | 1.9 | 0.0 | 7.0 | 3.4 | 0.0 | 0.3 | 0.0 | 0.0 | 3.9 | 0.0 | -16.7 | 0.0 | -2.1 |
| 2009 | 0.0 | 0.0 | 2.8 | -0.7 | 1.1 | -0.6 | 0.0 | -5.4 | -4.4 | 0.0 | 0.1 | 0.0 | -7.2 |
| 2010 | 1.7 | 0.3 | 0.8 | 0.0 | -2.1 | -0.9 | 0.0 | 3.8 | 1.0 | 0.0 | 2.0 | 0.0 | 6.7 |
| 2011 | 2.1 | -2.1 | 0.9 | 0.0 | -3.3 | 1.8 | -0.3 | -2.2 | 0.0 | -4.7 | -0.5 | 0.0 | -8.5 |
| 2012 | 1.6 | 1.1 | 0.0 | 1.0 | -3.7 | 0.0 | -0.5 | 0.0 | 0.4 | 1.3 | 0.0 | 0.0 | 1.1 |
| 2013 | 1.3 | 0.3 | -0.5 | -1.1 | 0.0 | 0.3 | 1.6 | 0.0 | 0.7 | 0.2 | 0.0 | 0.0 | 2.9 |
| 2014 | 0.0 | 0.0 | 0.2 | 0.2 | 0.0 | 0.6 | -0.8 | 0.0 | -1.2 | 0.0 | -0.7 | 0.0 | -1.8 |
| 2015 | 0.0 | 0.0 | -0.1 | 0.9 | 0.1 | 1.5 | 0.0 | -3.2 | 0.0 | 0.0 | 1.1 | 0.0 | 0.2 |
| 2016 | -0.4 | 3.4 | 0.9 | 0.0 | 0.2 | -0.5 | -0.3 | -0.4 | 0.0 | -0.4 | 1.7 | 0.0 | 4.2 |
| 2017 | 0.1 | 2.9 | 0.0 | 0.6 | 1.2 | 0.0 | 0.7 | 0.3 | 0.0 | 0.2 | 0.2 | 0.0 | 6.4 |
| 2018 | 0.9 | -1.7 | 0.0 | 0.0 | 1.1 | 0.0 | 0.0 | 0.0 | 0.4 | 0.5 | 0.0 | 0.0 | 1.2 |
| 2019 | 0.4 | 0.6 | 2.5 | -0.8 | 0.0 | 1.2 | -2.3 | 0.0 | -2.1 | 1.5 | 0.0 | 0.2 | 1.1 |
Row
Rolling Performance Chart
Snail Trail Chart
